TY  - BOOK
AU  - Fendel,Ralf
TI  - Towards a joint characterization of monetary policy and the dynamics of the term structure of interest rates
T2  - Discussion papers. Series 1: Studies of the Economic Research Centre
SN  - 3865580114
U1  - 332.1120943 21
PY  - 2004///
CY  - Frankfurt am Main
PB  - Deutsche Bundesbank
KW  - POLITICA MONETARIA
KW  - 1979-1998
KW  - MODELOS ECONOMETRICOS
KW  - TIPO DE INTERES
KW  - ALEMANIA
N1  - Bibliografía: p. 36-38; 1. Introduction -- 2. An arbitrage-free perspective of the term structure of interest rates -- 3. A general affine term structure model in discrete time -- 4. A Gaussian model for the german term structure od interest rates -- 5. The monetary policy view of the short rate dynamics -- 6. Estimation procedure and results -- 7. Conclusions -- References -- Appendix 1: recursive restrictions -- 2. derivation of the term premia -- 3. the Kalman filter
UR  - http://www.bundesbank.de/Redaktion/EN/Downloads/Publications/Discussion_Paper_1/2004/2004_09_07_dkp_24.pdf?__blob=publicationFile
ER  -